A factor contagion model for portfolio credit derivatives (Q4683088)
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scientific article; zbMATH DE number 6939293
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A factor contagion model for portfolio credit derivatives |
scientific article; zbMATH DE number 6939293 |
Statements
A factor contagion model for portfolio credit derivatives (English)
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19 September 2018
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Marshall-Olkin copula
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contagion model
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credit derivatives
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recovery rate
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